Team

The Systemic Risk Hub global team is composed of a number of leading international researchers, academics and professionals from the fields of finance, economics, mathematics and statistics, that kindly accepted to participate in this original initiative and who contribute, in several ways (from coding, proposing new papers, promoting conferences, adding more definitions, starting joint research projects, providing feedback, discussing papers, promoting research, organizing workshops and conferences, etc…). Below you will find a brief biography of each research contributor of this website.

    Steering Committee

  • Monica Billio

    Monica Billio is a Professor in Econometrics at the Ca’ Foscari University of Venice. She graduated in Economics from the same University and holds a Ph.D. in Applied Mathematics from Paris Dauphine University. She participates in many research projects financed by the European Commission, Eurostat, the Italian Ministry of Research (MIUR) and is now the local Coordinator for the Ca’ Foscari University of Venice of the MIUR Project “Financial Variables and Business Cycle: Interdependence and Real Effects of Financial Fluctuations”. The results of these and other research projects have appeared in peer-refereed journals, such as Journal of Econometrics, Journal of Statistical Planning and Inference, European Journal of Finance, among others. Her main research interests include financial econometrics, with applications to risk measurement and management, volatility modelling, financial crisis and hedge funds, business cycle analysis, dynamic latent factor models and simulation based inference techniques.

    Monica is the Scientific Coordinator of the SYstemic Risk TOmography (SYRTO) project that aims to create an early warning system to identify potential threats to financial stability.

    Home Page;
    billio[ / at / ]unive.it
  • Rama Cont

    Rama Cont is a Professor of Mathematics and Chair in Mathematical Finance at Imperial College London, Director of the CFM-Imperial Institute of Quantitative Finance and co-Director of the EPSRC Centre for Doctoral Training in Financial Analytics and Computing. He holds a Ph.D. from Paris-Sud University, a Masters degree in Theoretical Physics from the Ecole Normale Supérieure and a B.Sc. from the Ecole Polytechnique. He has participated in numerous consulting projects for financial institutions and regulators in the UK, Europe, US and Asia. He has co-authored more than 60 research publications, including the widely cited monograph Financial Modelling with Jump Processes (2003), and is the Editor-in-Chief of a major reference work, the Encyclopedia of Quantitative Finance (Wiley 2010). He served as Chair of the SIAM Activity Group on Financial Mathematics and Financial Engineering (2010-2012). Rama was awarded the Louis Bachelier Prize by the French Academy of Sciences in 2010 for his research on mathematical modeling in finance. His research focuses on stochastic analysis, stochastic processes and mathematical modeling in finance, in particular the modeling of extreme market risks: discontinuities in market behavior, extreme risks, endogenous risk and systemic risk.

    Home Page;
    r.cont[ / at / ]imperial.ac.uk
  • Jón Daníelsson

    Jón Daníelsson is a Reader in Finance at the London School of Economics from 1997 and holds a Ph.D. in Economics from Duke University. He is also a consultant including past assignments with the IMF and the Bank of Japan. Jón has written articles and papers published in magazines, such as Financial Times and in leading academic journals, such as Journal of Econometrics, Annual Review of Economics, International Economic Review, among others. He has written several books including Financial Risk Forecasting published in Wiley-Blackwell, which is a complete introduction to practical quantitative risk management, with a focus on market risk. More recently, he wrote the book Global Financial Systems: Stability and Risk published in Pearson, which is a coherent and current analysis of the global financial system. Jón has made a number of presentations at financial institutions, public organizations in several countries, international organizations, and Universities both in Europe and the US. His media appearances include BBC radio, television news and CNN. He has also studied and commented widely on the economic meltdown in his native Iceland. His research interests cover systemic and financial risks, econometrics, economic theory and financial crisis.

    He is one of the Directors of the Systemic Risk Centre based at the London School of Economics and Political Science (LSE).

    Home Page;
    j.danielsson[ / at / ]lse.ac.uk
  • Jin-Chuan Duan

    Jin-Chuan Duan is the Cycle and Carriage Professor of Finance in the Business School of National University of Singapore (NUS). He is also a Professor of Economics in the Department of Economics. Previously, he served as the Director of the NUS Risk Management Institute (RMI) from July 2007 to June 2014. During his 7-year tenure, RMI has emerged to become a world leader in credit research due to the "public good" Credit Research Initiative (CRI) pioneered by him in March 2009. Jin-Chuan was elected in 2008 an Academician of the Academia Sinica for his scholarly contributions, and also became a fellow of the Society for Financial Econometrics in 2013. Jin-Chuan completed his undergraduate education at the National Taiwan University, an MBA from the State University of New York at Albany and a Ph.D. in Finance from the University of Wisconsin-Madison. Jin-Chuan’s research expertise is in financial engineering and risk management, and is known for his earlier work on developing the GARCH option pricing model and more recent corporate default research in connection with the CRI. In addition to numerous scholarly publications on derivative securities and risk management, he has written a book and occasional media commentaries on current financial/economic events. Before joining NUS, Jin-Chuan held the Manulife Chair Professorship at the Rotman School of Management, University of Toronto, and also once taught at the Hong Kong University Science and Technology and McGill University.

    Home Page;
    bizdjc[/at/]nus.edu.sg
  • Darrell Duffie

    Darrell Duffie is the Dean Witter Distinguished Professor of Finance at Stanford University’s Graduate School of Business. He holds a Ph.D. in Engineering Economic Systems from Stanford University. He is a member of the Financial Advisory Roundtable of the Federal Reserve Bank of New York, a Fellow and member of the Council of the Econometric Society, a Research Fellow of the National Bureau of Economic Research, a Fellow of the American Academy of Arts and Sciences, and a member of the board of directors of Moody’s Corporation since 2008. Darrel was the 2009 president of the American Finance Association. He currently chairs the Market Participants Group, charged by the Financial Stability Board with recommending reforms to Libor, Euribor, and other interest rate benchmarks. Darrel’s recent books include How Big Banks Fail and What to Do about It (Princeton University Press, 2010), Measuring Corporate Default Risk (Oxford University Press, 2011), and Dark Markets: Asset Pricing and Information Transmission in Over-the-Counter Markets (Princeton University Press, 2012). His research interests include over-the-counter markets, banking, financial risk management, credit risk, valuation and hedging of derivative securities, financial market infrastructure, the term structure of interest rates, financial innovation, security design (including legal treatments at failure resolution), and market design.

    Home Page;
    duffie[ / at / ]stanford.edu
  • Robert Engle

    Robert Engle is the Michael Armellino Professor of finance at New York University Stern School of Business. He is a co-founding president of the Society for Financial Econometrics (SoFiE), a global non-profit organization housed at NYU. He received his Bachelor of Science from Williams College and his M.S. in Physics and Ph.D. in Economics from Cornell University. Robert is an expert in time series analysis with a long-standing interest in the analysis of financial markets. He was awarded the 2003 Nobel Prize in Economics for his research on the concept of autoregressive conditional heteroskedasticity (ARCH). He has published well over 100 academic research papers, four books and many other scholarly works. These are mostly in the broad area of time series econometrics with the most important applications to financial markets. Over the years, Robert’s authored influential papers analyzing macro economics, energy markets, urban economies and emerging markets as well as the main financial asset classes: equities, currencies, fixed income and derivatives. Two of his papers have reached milestones in citations: the paper introducing the ARCH model in 1982 and the paper coauthored with Clive Granger introducing Cointegration, in 1987.

    Robert is also the Director of the Volatility Laboratory (V-Lab) at New York University Stern School of Business.

    Home Page;
    rengle[ / at / ]stern.nyu.edu
  • J. Doyne Farmer

    Doyne J. Farmer is a Professor with the Institute for New Economic Thinking at the Oxford Martin School and with the Mathematical Institute, and he is External Professor at the Santa Fe Institute. He holds a Ph.D. in Physics from the University of California, Santa Cruz. Doyne was a founder of Prediction Company, a quantitative automated trading firm that was sold to the United Bank of Switzerland in 2006. During the eighties he worked at Los Alamos National Laboratory, where he was an Oppenheimer Fellow, founding the Complex Systems Group in the theoretical division. He began his career as part of the U.C. Santa Cruz Dynamical Systems Collective, a group of physics graduate students who did early research in what later came to be called "chaos theory". In his spare time during graduate school he led a group that designed and built the first wearable digital computers (which were used to beat the game of roulette). He has broad interests in complex systems, and has done research in dynamical systems theory, time series analysis and theoretical biology. At present his main interest is economics. Particular projects include making realistic agent-based model of the economy; understanding technological evolution and economic growth; and understanding market ecologies, in particular with relation to financial instability.

    Doyne is the Scientific Coordinator of the CRISIS project.

    Home Page;
    Doyne.Farmer[ / at / ]inet.ox.ac.uk
  • Christian Gouriéroux

    Christian Gouriéroux is a Professor of Economics at the University of Toronto, the Director of the Finance-Insurance Laboratory at CREST (Center for Research in Economics and Statistics) in Paris and a Researcher involved in the initiative on Systemic Risk at the French Prudential Supervisory Authority - Chair ACPR "Regulation and Systemic Risk". He holds a Ph.D. in Mathematics from the University of Rouen and has ample experience in teaching courses in Finance and Econometrics, including Credit Risk, Affine Models with Financial Applications and Factor Models. Christian has published articles in high-standard journals such as Econometrica, Journal of Econometrics, Econometric Theory, Journal of Banking and Finance, Journal of Time Series Analysis... as well as books edited by Princeton University Press, Kluwer Academic Publishers, Cambridge University Press, among others. He was a recipient of the Koopmans Prize for the project "General Approach to Serial Correlation" in 1990. He was awarded the Silver Medal of the Conseil National de Recherche Scientifique by the French Ministry of Research. In 2000, Christian received a Doctorat Honoris Causa at Mons University in Belgium. His current research interests are in financial econometrics, especially in credit risk, term structure of interest rates, longevity, hedge funds, systemic risk and regulation.

    Home Page;
    gouriero[ / at / ]ensae.fr
  • Thomas R. Hurd

    Thomas R. Hurd is a Professor in Financial Mathematics at McMaster University. He holds a Ph.D. from the University of Oxford. Previously, he worked primarily in Mathematical Physics. He has ample experience in teaching courses in financial mathematics, for example Mathematics of Credit Risk and Applied Computational Finance. Thomas is the Principal Investigator of a major research project entitled "Financial Systemic Risk: a Network Science Approach" sponsored by the Global Risk Institute (GRI). He has published articles in leading international journals, such as Applied Mathematical Finance, Quantitative Finance, Journal of Financial Mathematics, among others. He also published the book chapter "Systemic Risk in Banking Networks without Monte Carlo Simulation" in Mathematics in Industry edited by Springer. In the past couple of years, he has given minicourses on Systemic Risk at a number of research institutions: IMPA in Rio, the 11th Winter School on Mathematical Finance in the Netherlands, and MACSI at the University of Limerick and most recently a Ph.D. level course on the subject at ETH Zurich. His main research interests are currently concentrated on the structural aspects of financial networks that most affect systemic risk.

    Thomas supervises PhiMAC, a group of researchers in the Mathematics Department at McMaster University.

    Home Page;
    hurdt[ / at / ]mcmaster.ca
  • Andrew W. Lo

    Andrew W. Lo is the Charles E. and Susan T. Harris Professor of Finance and the director of the Laboratory for Financial Engineering at the MIT Sloan School of Management. Prior to this, he taught at the University of Pennsylvania Wharton School (1984-1987). His research interests span several fields including financial asset-pricing models; derivatives and risk management; hedge funds; systemic risk, financial regulation, and governmnet policy; computational algorithms, machine learning, and secure multi-pary computation; evolutionary, neurobiological, and computational models of risk preferences, economic behavior, and intelligence; and most recently, new financing models for funding translational medicine in cancer, Alzheimer’s, and rare diseases. Amongst his various research focuses, Andrew works on constructing new measures of systemic risk and comparing them across time and systemic events. He has published numerous articles in academic journals and trade publications, and has authored several books, including The Econometrics of Financial Markets, A Non-Random Walk Down Wall Street and Hedge Funds: An Analytic Perspective. Andrew is currently co-editor of the Annual Review of Financial Economics and an associate editor of the Financial Analysts Journal, the Journal of Porfolio Management and the Journal of Investment Management. He serves on advisory committess for the CFTC, NY Fed, OFR, and SEC, and is founder, chairman, and chief investment strategist of AlphaSimplex Group, LLC, an investment advisory firm.

    Andrew is also involved in Consortium for Systemic Risk Analytics (CSRA) as the Chairman of the Academic Advisory Board.

    Home Page;
    alo-admin[ / at / ]mit.edu
  • Catherine Lubochinsky

    Catherine Lubochinsky is a Professor of Finance at the University of Paris-2 Panthéon-Assas. She holds PhDs in Economics and Finance from the University of Paris-1 Panthéon-Sorbonne and from the University of Orléans. Her teaching experience spanned a wide variety of courses including financial markets, fixed income, derivatives and interest rates. Catherine is a member of the “Cercle des Economistes”, the European Shadow Financial Regulation Committee (ESFRC) and the Scientific Committee of the Fondation des Universités Unicredit. She was recently appointed to the Supervisory College of ACPR by the President of the National Assembly, and Vice Chairman of its Scientific Committee. Catherine was a visiting researcher at Brown University and a summer intern at the International Monetary Fund. She has been President of The European Money and Finance Forum (2006-2012), an advisor to several private sector financial institutions over the years and a consultant to the Financial Markets and Stability Department of Banque de France. Catherine is the author/editor of several books and a number of articles, in both French and English, on the challenges facing the global financial services sector. She was also recently Managing Director, Research at the Global Risk Institute in Financial Services (Toronto). Her research interests covers interest rates, derivatives, asset management, banking and financial regulation.

    Catherine is the initiator of the Systemic Risk Hub project.

    Home Page;
    catherine.lubochinsky[ / at / ]u-paris2.fr
  • Bertrand B. Maillet

    Bertrand B. Mailletis a Full Tenured Professor in Quantitative Finance at EM Lyon Business School (Paris and Shanghai Campuses), the Head of the MSc. in Quantitative Finance at EMLyon Business School (Paris Campus), a Full Tenured Professor in Financial Economics at the University of La Réunion (on sabbatical), an Adjunct Professor in Finance at the University of Paris-Dauphine, and the Principal at Variances (a consulting company providing academic supports to financial institutions). He is currently a Senior Academic Fellow at the Louis Bachelier Institute. He has also been, for more than 15 years, an Executive Head of Quantitative Research (MD/CEO) within a large European Asset Management company . He graduated in Economics, in Finance, in Statistics, and holds a Ph.D. in Economics and a Ph.D. in Finance (Habilitation à Diriger des Recherches) from the University of Paris-1 Panthéon-Sorbonne, and has been since promoted as a Full University Professor (Professeur Agrégé des Universités). Bertrand has published several articles in academic journals in Economics, in Finance and in Applied Mathematics, such as the Journal of Banking and Finance, Journal of Economic Dynamics and Control, European Journal of Operational Research, Quantitative Finance, Review of International Economics, European Journal of Finance, Neural Networks, Neurocomputing, chapters in books edited by Wiley, Springer and Kluwer Academics, and serves as an academic referee for several international leading journals. He was also a co-editor of the book entitled “Multi-moment Asset Allocation and Pricing Models” published by John Wiley NYC. His domain of expertise covers financial econometrics, risk management, performance measurement, portfolio management and asset pricing.

    Bertrand is the main scientific coordinator of the Systemic Risk Hub project.

    Home Page;
    bmaillet[ / at / ]em-lyon.com
  • Michael Rockinger

    Michael Rockinger is a Professor in Finance at HEC Lausanne, the Faculty of Business and Economics of the University of Lausanne. He has teaching experience at all levels (Undergraduate, M.Sc. in Finance, Ph.D., MBA and Executive Education). Michael holds a Ph.D. and a M.A. both in Economics from Harvard University, a M.A. in Economics from the University of Lausanne and a M.Sc. in Mathematics from the Swiss Federal Institute of Technology of Lausanne (EPFL). He has numerous publications in leading journals, such as Econometric Theory, Journal of Econometrics, Review of Financial Studies, Journal of Economic Dynamics and Control, Journal of Empirical Finance, Journal of Banking and Finance, among others. Michael has also published several books in the fields of Empirical Finance, Financial Economics, Econometrics and Macroeconomics including Financial Modeling under Non-Gaussian Distributions, co-authored with Eric Jondeau and Ser Huang Poon and edited by Springer. His research focuses on portfolio allocation in the long-run and allocation in non-Gaussian environments. In some other works, Michael considers the estimation of jumps in a microstructure model calibrated to high-frequency data with particle filter estimations.

    Michael is a member of the Center for Risk Management at Lausanne (CRML) based at HEC Lausanne within University of Lausanne (UNIL), which focuses on risk management and quantitative methods.

    Home Page;
    Michael.Rockinger[ / at / ]unil.ch

    Experts

  • Viral V. Acharya

    Viral V. Acharya is the C.V. Starr Professor of Economics in the Department of Finance at New York University Stern School of Business. He is also the Director of the NSE-NYU Stern Initiative on the Study of Indian Capital Markets, the Program Director for Financial Economics and a Research Affiliate of the Center for Economic Policy Research (CEPR) in Financial Economics, a Research Associate of the National Bureau of Economic Research (NBER) in Corporate Finance and a Research Associate of the European Corporate Governance Institute (ECGI). Viral holds a Ph.D. in Finance from New York University Stern School of Business. He has published articles in leading international journals, such as American Economic Review, Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Review of Finance, among others. Viral is a co-author of the chapter "Measuring Systemic Risk" with Christian Brownless, Robert Engle, Farhang Farazmand and Matthew Richardson in the book Managing and Measuring Risk: Emerging Global Standards and Regulation after the Financial Crisis, edited by Oliviero Roggi and Edward Altman. His research interests are theoretical and empirical analysis of systemic risk of the financial sector, in the regulation of banks and financial institutions, corporate finance, credit risk and valuation of corporate debt, and asset pricing with a focus on the effects of liquidity risk.

    Home Page;
    vacharya[ / at / ]stern.nyu.edu
  • Tobias Adrian

    Tobias Adrian is a Senior Vice President of the Federal Reserve Bank of New York and head of the Capital Markets Function of the Research and Statistics Group. He is also a Visiting Professor at the New York University Stern School of Business where he teaches monetary policy, central banks and banks for the MBA program. He previously taught in Princeton University, Seoul National University and Massachusetts Institute of Technology. He has published articles in leading international journals, such as Journal of Finance, Journal of Financial Economics and Review of Financial Studies. Tobias holds a Ph.D. in Economics at Massachusetts Institute of Technology and an MSc in Econometrics and Mathematical Economics at London School of Economics. He is co-author of the article "CoVaR", which proposes one of the first and most important systemic risk measures developed after the financial crisis of 2007-09. His research covers asset pricing, financial intermediation, and macroeconomics, with a focus on the aggregate implications of capital market developments. He has contributed to the NY Fed's financial stability policy and to its monetary policy briefings. Tobias is the recipient of various awards including the Institute for Quantitative Investment Research Award. His research interests include theoretical and empirical asset pricing; models of tail risk, volatility and correlation dynamics; and asymmetric information in asset markets.

    Home Page;
    tobias.adrian[ / at / ]ny.frb.org
  • Hamed Amini

    Hamed Amini is an Assistant Professor in the department of mathematics at the University of Miami. Hamed received his Ph.D. in Applied Mathematics at École Normale Supérieure – INRIA in Paris. During his Ph.D. he mainly focused on random graphs and epidemics as well as on contagion in financial networks. He introduced a mathematical framework for understanding systemic risk via network analysis and tools drawn from percolation and random graph theory. Prior to his Ph.D., he earned a Master in Probability and Finance at the Pierre et Marie Curie University and the Diplôme of École Polytechnique. He has published articles in international leading journals such as Mathematical Finance, Annals of Applied Probability, Journal of Applied Probability, Journal of Statistical Physics and International Journal of Theoretical and Applied Finance, among others. His main research interests are stochastic systems, epidemics, percolation, systemic risk, financial stability, social networks, network economics and game theory.

    Home Page;
    amini[ / at / ]math.miami.edu
  • Giovanni Barone-Adesi

    Giovanni Barone-Adesi is a Professor in Finance Theory at the University of Lugano. He graduated in Electrical Engineering from the University of Padova. He holds a Ph.D. from the University of Chicago. Previously, he was Professor of Finance (Pocklington Chair) at the University of Alberta in Canada. Giovanni has taught at the University of Texas at Austin, the Wharton School, University of Pennsylvania and the City University of London. He has published articles in leading international journals, such as Review of Financial Studies, Journal of Derivatives, Journal of Banking and Finance, among others. He is also an associate editor and referee for several international scientific journals, such as Journal of Finance, Journal of Financial Economics, Journal of Derivatives, Global Finance, European Financial Management, among others. Giovanni is co-author of a model used in the valuation of American options and collaborates with various financial institutions and regulators in risk management. His research focuses primarily on Securities, Derivatives and Risk Management.

    Home Page;
    giovanni.baroneadesi[ / at / ]usi.ch
  • Carole Bernard

    Carole Bernard is an Associate Professor in the Department of Statistics and Actuarial Science of the University of Waterloo. Previously, she worked as Research Assistant and Lecturer at the University of Lyon 1, and at EM Lyon (Lyon Business School). She holds a Ph.D. in Finance from the University of Lyon 1. Carole has published articles in leading international journals, such as Journal of Applied Probability, Journal of Risk and Insurance, Journal of Derivatives, Journal of Computational Finance, among others. She has also published book chapters edited by Georges Dionne and by J.P. Fouque and J. Langsam. Her main research interests are: Decision Theory, Quantitative Behavioral Finance, Volatility Derivatives, Optimal Insurance and Reinsurance, Pricing and Hedging Exotic Derivatives and Risk Management. In 2013, she was awarded the "Humboldt Research Fellowship for Experienced Researcher", and in 2012, the "Johan de Witt Award" (Dutch Society of Actuaries) for the paper "Explicit Representation of Cost-efficient Strategies".

    Home Page;
    c3bernar[ / at / ]uwaterloo.ca
  • Christian T. Brownlees

    Christian T. Brownlees is an Assistant Professor in the Department of Economics and Business at the Pompeu Fabra University. He received a B.S. in Economics and Quantitative Methods in 2003 and a Ph.D. in Statistics in 2007 from the University of Florence. Christian was a Post-Doc Research Fellow at NYU Stern until 2011. He has published articles in leading international journals such as Studies in Nonlinear Dynamics & Econometrics, Journal of Risk, Journal of Financial Econometrics, International Journal of Forecasting and Computational Statistics & Data Analysis. Together with other famous researchers such as Acharya, Engle, Farazmand and Richardson, he published the book chapter “Measuring Systemic Risk”, in Managing and Measuring Risk: Emerging Global Standards and Regulation after the Financial Crisis. His research interests are Systemic Risk, Network Analysis, Nonlinear Time Series, Forecasting, Statistical Computing, Empirical Finance and Financial High Frequency Data.

    Home Page;
    christian.brownlees[ / at / ]upf.edu
  • Massimiliano Caporin

    Massimiliano Caporin is an associate Professor of Econometrics at the University of Padova. He holds a Ph.D. in Quantitative Economics from the Ca' Foscari University of Venice. Massimiliano has published articles in leading international journals such as Statistical Methods and Applications, Journal of Economic Surveys, Computational Statistics and Data Analysis, Econometric Reviews, among others. He is also an associate editor and referee for several international scientific journals, such as Journal of Econometrics, Journal of Applied Econometrics, Journal of Financial Econometrics, Journal of Empirical Finance, Journal of Reviews of Global Economics, Mathematics and Computers in Simulations, among others. His main research interests include: financial econometrics and financial time series analysis, portfolio allocation and management, managed portfolios performance, weather derivative pricing, high frequency data analysis and trading strategies, market risk measurement and systemic risk measurement through dynamic models, multivariate models for financial market variances: GARCH, stochastic volatilities and their extensions. More recently, he has worked with Gian Piero Aielli on the variance clustering that improve dynamic conditional correlation MGARCH estimators. They found that unlike other GARCH clustering techniques, their method leads to the selection of the optimal number of clusters.

    Home Page;
    massimiliano.caporin[ / at / ]unipd.it
  • René Carmona

    René Carmona is the Paul Wythes ’55 Professor of Engineering and Finance at Princeton University in the department of Operations Research and Financial Engineering. He is an associate member of the Department of Mathematics, a member of the Program in Applied and Computational Mathematics, and Director of Graduate Studies of the Bendheim Center for Finance where he oversees the Master in Finance program. René holds a Ph.D. in Probability from the University of Marseille. His publications include over one hundred articles and seven books in probability, statistics and financial mathematics. He was elected Fellow of the Institute of Mathematical Statistics in 1984 and of the Society for Industrial and Applied Mathematics in 2009. He is the founding chair of the SIAM Activity Group on Financial Mathematics and Engineering, the founding editor of the Electronic Journal and Communications in Probability, and the SIAM Journal on Financial Mathematics. His research focuses on stochastic analysis, energy and commodity markets, high frequency markets and systemic risk, environmental economics and signal analysis. He recently organized events either entirely devoted to systemic risk like the Summer School and Workshop at PIMS in Vancouver (Pacific Institute for the Mathematical Science Workshop and Pacific Institute for the Mathematical Science Summer School) René have a strong component on systemic risk, like the special program at the Institute for Pure and Applied Mathematics in Los Angeles.

    Home Page;
    rcarmona[ / at / ]princeton.edu
  • Roberto Casarin

    Roberto Casarin is an Assistant Professor in Econometrics at the Ca' Foscari University of Venice. He holds a Ph.D. in Economics from the same University and a Ph.D. in Mathematics from Paris Dauphine University. Previously, he was an Assistant Professor in Econometrics at the University of Brescia. He has ample experience in teaching courses in financial statistics and economics, namely Bayesian Stochastic Volatility Models, Bayesian Methods in Economics and Finance and Nonlinear Models and Financial Econometrics. Roberto has published articles in leading international journals, such as Journal of Econometrics, Journal of the Royal Statistical Society, Bayesian Analysis, and Statistics and Computing, among others, and book chapters edited by Springer Verlag, Brentari and Carpita, and Vita e Pensiero. He is affiliated to the Institute of Mathematical Statistics (IMS), the Advanced School of Economics in Venice (SSE) and the GRETA Association at the University of Venice. His research interests include financial and computational econometrics, and in particular, Bayesian inference, Monte-Carlo methods, stochastic processes, performance measures, risk measures and portfolio theory.

    Home Page;
    r.casarin[ / at / ]unive.it
  • Laurent Clerc

    Laurent Clerc is the Director for Financial Stability at the Banque de France. He is also a member of the Financial Stability Committee of the European Central Bank, the Advisory Technical Committee of the European Systemic Risk Board, the Policy Development Group of the Basel Committee and of the Board of the International Journal of Central Banking. Laurent graduated from the Ecole Normale Supérieure de Cachan in Economics and Social Sciences, he holds a M.Sc. in Economics from London School of Economics, a M.Ph. in Economics from School for Advanced Studies in the Social Sciences (EHESS). Previously, he held various positions at the Banque de France, notably as Director for Monetary and Financial Studies and Secretary of the Banque de France Foundation for Research, deputy Director for Financial Stability, Head of the Monetary Policy Research Unit. Laurent has published articles in international journals such as Economic Modelling, Journal of International Economics and Oxford Economic Papers, among others. His main research fields and publications in refereed journals relate to the areas of monetary economics and financial stability.

    Home Page;
    laurent.clerc2[ / at / ]banque-france.fr
  • Gilbert Colletaz

    Gilbert Colletaz is a Professor in Econometrics at the University of Orléans and the Director of the Master in Econometrics and Applied Statistics (ESA). He has ample experience in teaching courses in econometrics, namely Time Series Models, Multivariate Time Series Analysis, Non-parametric Statistics and Survival Models. Gilbert is a Managing Editor of the RunMyCode website that is an online repository allowing researchers to share code and data associated with scientific publications (articles and working papers). Gilbert has published articles in leading journals in Finance, Econometrics and Economics, such as Journal of Financial Econometrics, Finance, Oxford Bulletin of Economics and Statistics, among others. His main research interests focus on the fields of Econometrics, Finance and Risk Management. Part of his research is dedicated to Extreme Risk modeling, in particular, to Systemic Risk Measures and to validation and testing of Value-at-Risk models.

    Home Page;
    gilbert.colletaz[ / at / ]univ-orleans.fr
  • Fulvio Corsi

    Fulvio Corsi is a Researcher at the Ca’ Foscari University of Venice. He holds a Ph.D. in Finance from the University of Lugano and a M.Sc. in Economics and Finance from Venice International University. Fulvio has published several articles in leading international journals, including Journal of Financial Economics, Journal of Econometrics, Journal of Applied Econometrics, Journal of Business and Economic Statistics, among others. He obtained the Engle Prize 2010 for best paper published in 2007, 2008 and 2009 volumes of Journal of Financial Econometrics. He has also served as referee for international scientific journals. His main research interests are concentrated in the fields of Financial Econometrics and Empirical Finance: volatility, jumps, and correlation measures with high frequency data, (pseudo) long memory models induced by heterogeneous agents, multivariate models of realized volatility, derivative pricing, models for financial bubbles and systemic risk.

    Home Page;
    fulvio.corsi[ / at / ]unive.it
  • Jianhua Gang

    Jianhua Gang is an Associate Professor in Finance at Renmin University of China (RUC) and a research fellow of China Financial Policy Research Center. He holds a Ph.D. in Economics from the University of York (research area: Financial Econometrics), MS of Finance from the University of Southampton. He is now the Deputy Director of the Finance Faculty in the School of Finance, Renmin University of China. He is also the Executive Director of the Institute of Finance and Real Estate (IFRE) at RUC. His research interests include time series econometrics, mutual funds/hedge funds, option markets, derivatives, real estate finance, and volatility analysis. He published in journals such as the Economic and Political Studies, the Bulletin of Economic Research, the Manchester School and Emerging Markets Finance and Trade. His recent working papers cover topics related to global capital flow, foreign exchange rates, financial asset pricing, fund performance measurement, systemic risk measurement, and social network analysis.

    Home Page;
    jhgang[ / at / ]ruc.edu.cn
  • Sanjiv Das

    Sanjiv Das is the William and Janice Terry Professor of Finance at Santa Clara University's Leavey School of Business. He previously held faculty appointments as Associate Professor at Harvard Business School and UC Berkeley. Prior to being an academic, he worked in the derivatives business in the Asia-Pacific region as a Vice-President at Citibank. Sanjiv holds post-graduate degrees in Finance (M.Phil and Ph.D. from New York University), Computer Science (M.S. from UC Berkeley), an MBA from the Indian Institute of Management, Ahmedabad, B.Com in Accounting and Economics (University of Bombay, Sydenham College), and is also a qualified Cost and Works Accountant. He is a senior editor of the Journal of Investment Management, co-editor of the Journal of Derivatives, and associate editor of other academic journals. He has published over eighty articles in academic journals, and has won numerous awards for research and teaching. His recent book "Derivatives: Principles and Practice" was published in May 2010. He currently serves as a Senior Fellow at the FDIC Center for Financial Research. His current research interests include: the modeling of default risk, machine learning, social networks, derivative pricing models, portfolio theory, and venture capital.

    Home Page;
    srdas[ at ]scu.edu
  • Olivier de Bandt

    Olivier de Bandt is the Director of Research at the (French) Prudential Supervision and Resolution Authority (ACPR). He is a member of the Financial Stability Committee of the European Central Bank, and a member of the Advisory Technical Committee of the European Systemic Risk Board. He is also an Associate Professor at Paris West University Nanterre La Défense. His previous positions include Senior Economist at the European Monetary Institute and European Central Bank, Head of Forecasting Division and Director of Business Conditions and Macroeconomic Forecasting at Banque de France. He holds a Ph.D. in Economics from the University of Chicago. Olivier has published articles in leading international journals such as Journal of Banking and Finance, Journal of Financial Stability, Journal of Forecasting, Financial Stability Review. He is an associate editor of the Journal of Financial Stability. He is a co-author in two important papers within the current systemic risk literature: Measuring Systemic Risk in a post-crisis world (2013) and Systemic Risk in Banking: An Update (2012). His main research interests are: Economics of Banking and Insurance, Stress tests, Macroeconomics, International Economics, Forecasting methods and Systemic Risk.

    Olivier is a Researcher involved in the initiative on Systemic Risk at the French Prudential Supervisory Authority - Chair ACPR "Regulation and Systemic Risk".

    Home Page;
    olivier.debandt[ / at / ]acp.banque-france.fr
  • François Derrien

    François Derrien is a Professor of Finance at HEC Paris and a member of the CNRS-lab GREGHEC Research Group. Previously, he was the Head of the Finance Department at HEC Paris (2009-2013) and an Assistant Professor of Finance at Rotman School of Management, University of Toronto. François has ample experience in teaching courses in Financial Markets and Corporate Finance. He holds a Ph.D. in Management Science at HEC Paris, a M.Sc. in Economics from Ecole Normale Supérieure and was a visiting scholar in Darmouth College and Harvard University. François is a member of the Association Française de Finance office and editor for the review Finance. He is the recipient of the 2013 Best young researcher award from the Europlace Institute of Finance and has received various other research awards including the Fondation HEC researcher of the year award and the Fondation HEC best thesis award. He has published articles in leading international journals, such as Journal of Finance, Review of Financial Studies, Journal of Financial Economics, Journal of Financial and Quantitative Analysis, among others. His research focuses on corporate finance, and his areas of interest include: initial public offerings, the behaviour of security analysts, the role of financial intermediaries, and the impact of investor horizon on firm policies.

    Home Page;
    derrien[ / at / ]hec.edu
  • Elena Dumitrescu

    Elena-Ivona Dumitrescu is an Assistant Professor in Econometrics at Paris West University Nanterre La Défense since September 2013. Before, she was a Max Weber fellow at the European University Institute. Elena holds a joint Ph.D. in Economics from Maastricht University and University of Orléans and a Master degree in Econometrics and Applied Statistics from the University of Orléans. Elena's work has been published in international journals such as IMF Economic Review, Economic Modelling, International Journal of Forecasting and Advances in Econometrics, among others. In particular, she wrote the article “How to Identify the SIFIs? A Component Expected Shortfall (CES) Approach to Systemic Risk” with Georgiana-Denisa Banulescu, forthcoming in Journal of Banking and Finance, which introduces a new systemic risk measure : the Component Expected Shortfall (CES). Elena-Ivona currently works with Professor Peter R. Hansen on the choice of estimation method when the objective is out-of-sample forecasting. Her research interests are concentrated in the fields of Econometrics, mainly Forecasting and Financial Econometrics, with applications to risk measurement and management, volatility modelling and financial crises.

    Home Page;
    ei.dumitre[ / at / ]u-paris10.fr
  • Sadok El Ghoul

    Sadok El Ghoul is an associate professor of Business Administration at Campus Saint-Jean of the University of Alberta, where he teaches finance, international business and econometrics. He received his B.B.A. from Institut Supérieur de Gestion de Tunis and his M.B.A. and Ph.D. from Laval University. Before joining the University of Alberta, he taught international financial management at Laval University. His work has been published in Finance AND Management Journals such as Journal of Corporate Finance, Financial Management, Journal of Banking & Finance, Management Science, Journal of International Business Studies, Journal of Business Ethics and Contemporary Accounting Research. Prof. El Ghoul received the McCalla Professorship at the University of Alberta in 2013-2014. He has won several awards including the Moskowitz Prize for the Best Paper in Socially Responsible Investing in 2011, the best paper award in financial institutions at the Southwestern Finance Association conference and the Hyundai Securities outstanding paper award at the Conference on Asia–Pacific Financial Markets in 2012.

    His research interests include corporate finance, corporate governance, corporate social responsibility, international finance, financial institutions, and the role of culture in financial markets.

    Home Page;
    elghoul[ / at / ]ualberta.ca
  • Jean-Pierre Fouque

    Jean-Pierre Fouque is a Professor of Statistics and Applied Probability and the Director of the Center for Research in Financial Mathematics and Statistics (CRFMS) at the University of California, Santa Barbara. He received his Ph.D. in Mathematics from Pierre-and-Marie-Curie University and was a postdoctoral fellow at Ohio State University. He has held positions in the French National Center for Scientific Research (C.N.R.S.) at the Ecole Polytechnique, and several visiting positions at UC Irvine. He joined in 1998 the Department of Mathematics at North Carolina State University where he has started and directed the Financial Mathematics Program. He has authored over 60 publications in leading academic journals, such as Mathematical Finance, Quantitative Finance, International Journal of Theoretical and Applied Finance, Finance and Stochastics, among others. Jean-Pierre wrote several books including the well-known Derivatives in Financial Markets with Stochastic Volatility (joint with G. Papanicolaou and R. Sircar) and Handbook on Systemic Risk (joint with J. Langsam) both edited in Cambridge University Press. Jean-Pierre’s primary research interests are financial mathematics, stochastic processes, stochastic partial differential equations, waves in random media and systemic risk.

    Home Page;
    fouque[ / at / ]pstat.ucsb.edu
  • Paolo Stefano Giudici

    Paolo Stefano Giudici is a Full Professor of Statistics at the Department of Economics and Management of the University of Pavia in Italy. He holds a M.Sc. in Statistics from the University of Minnesota and a Ph.D. in Statistics from the University of Trento. He is a Board Director of the Credito Valtellinese banking group (since 2010), and the president of the scientific committee of the Italian Financial risk management association (since 2012). His research activity concerns the development of statistical models in economics and finance. Paolo has published more than 60 papers in scientific international journals and two research books on data mining with an h-index of 21 (calculated by Google Scholar). He has published in journals such as Biometrika, Journal of the Royal Statistical Society (Series B), Journal of Economics and Business Statistics, Journal of the Operational Research Society, Computational Statistics and Data Analysis, among others. Furthermore, he recently co-authored published articles on Systemic Risk using graphical models.

    Paolo is a Principal investigator of several funded research projects (from private and public sources), with examples such as MUSING (Multivariate semantic based business intelligence, VI EU programme, 2006-2010) and MISURA (Multivariate statistical models for risk assessment, Italian Ministry of Research grant, 2013-2016).

    Home Page;
    giudici[ / at / ]unipv.it
  • Mila Getmansky Sherman

    Mila Getmansky Sherman is an Associate Professor of Finance at the Isenberg School of Management at UMass Amherst. She holds a Ph.D. from the Massachusetts Institute of Technology. She has ample experience in teaching courses in finance, namely corporate finance, finance theory core, financial analysis and decisions, alternative investments and financial models. Mila has published articles in leading international journals, such as Financial Analysts Journal, Journal of Financial Economics, Quarterly Journal of Finance and Statistics and Data Analysis, and chapters in books edited by McGraw-Hill, IMF, Gifford Fong, among others. Mila is also editor for the Hedge Funds Handbook and the Oxford University Press and serves as referee in leading academic, scientific, and professional journals. Her research interests are empirical asset pricing, hedge funds, systemic risk, performance of investment trading strategies and system dynamics. In 2012 she has worked with Monica Billio, Andrew W. Lo and Loriana Pelizzon on the econometric measures of connectedness and systemic risk in the finance and insurance sectors. They found that hedge funds, banks, brokers and insurance companies have become highly interrelated over the past decade, likely increasing the level of systemic risk in the finance and insurance industries through a complex and time-varying network of relationships.

    Home Page;
    msherman[ / at / ]isenberg.umass.edu
  • Christophe Hurlin

    Christophe Hurlin is a Professor in Economics at the University of Orléans, the Director of the studies of the Master in Econometrics and Applied Statistics (ESA) and the Director of the Institute of Economics of Orléans (IEO). He graduated in Economics and in Macro-economics, and holds a Ph.D. in Economics from the University of Paris-1 Panthéon-Sorbonne. He has ample experience in teaching courses in Econometrics in Undergraduate and Master degree level, namely Time Series Econometrics, Econometrics of Qualitative Variables, Financial Econometrics and Non-parametric Econometrics. Christophe has published numerous research articles in the fields of financial econometrics, panel data econometrics, nonlinear econometrics and measures of extreme risks in leading International journals such as Finance, Journal of Banking and Finance, Economic Modelling, among others. He is also the Co-CEO and Managing Editor of the RunMyCode website, a platform providing codes for scientific calculations in the field of economics and management. More recently he wrote the article "Implied Risk Exposure" with Sylvain Benoit and Christophe Pérignon forthcoming in Review of Finance. His main teachings are in financial econometrics, risk measures and financial macroeconomics.

    Home Page;
    christophe.hurlin[ / at / ]univ-orleans.fr
  • Malgorzata Iwanicz-Drozdowska

    Malgorzata Iwanicz-Drozdowska is a Professor of Finance at Warsaw School of Economics and is a head of Financial System Unit in Institute of Finance. Involved for more than 20 years in the business practice, she is a member of the supervisory board of: Alior Bank, Insurance Guarantee Fund and European Medical Fund. She co-operates with Gdańsk Institute of Market Economy (think tank) and Warsaw Institute of Banking. Malgorzata graduated from Warsaw School of Economics in 1995. She was then granted a scholarship from Deutsche Stiftung fuer Internationale Rechtliche Zusammenarbeit EV in 1998, and from Georgetown University, Washington, D.C. in 1999. She holds a Ph.D. in Economics and was a visiting researcher at New York University - Stern School of Business in 2013 and a visiting professor within Erasmus program. Malgorzata authored more than 130 research publications in International and leading Polish journals such as Journal of Management and Financial Sciences, and she participated on many research projects. Her research focuses on the banking and financial services market, and her areas of interest include: financial safety net, financial stability, management of financial institutions and financial education. More recently, she has worked with Bartosz Witkowski on the role of parent companies in the case of the G-SIBS in Central and Eastern Europe.

    Home Page;
    miwani[ / at / ]sgh.waw.pl
  • Eric Jondeau

    Eric Jondeau is a Professor of Finance at the University of Lausanne. He graduated from the ENSAE (French National School of Statistics and Economics) and holds a Ph.D. in Economics from Paris Dauphine University. Before joining HEC Lausanne in 2004, he worked in the French banking industry (Caisse des Dépôts et Consignations, Banque Indosuez, and Banque de France). He has been the Director of the Institute of Banking and Finance from 2006 to 2012. He has published articles in leading international journals such as Journal of Financial Econometrics, Journal of Econometrics, Journal of Monetary Economics, European Financial Management, among others. He also worte a book edited by Springer and a chapter in a book edited by Wiley. Eric serves as referee for a variety of top international journals in economics and finance. His research interests are concentrated in the fields of financial econometrics, empirical finance, asset management, risk management and modeling of asset prices. More recently, he has worked on important systemic risk related papers such as "Systemic Risk in Europe" with Robert Engle and Michael Rockinger forthcoming in Review of Finance.

    Eric is the Director of the Center for Risk Management at Lausanne (CRML) based at HEC Lausanne within University of Lausanne (UNIL), which focuses on risk management and quantitative methods.

    Home Page;
    eric.jondeau[ / at / ]unil.ch
  • Bryan T. Kelly

    Bryan T. Kelly is an Associate Professor of Finance and Richard N. Rosett Faculty Fellow at the University of Chicago, Booth School of Business. Kelly teaches Investments at Booth, and previously taught the undergraduate Foundations of Financial Markets course at Stern, for which he received a commendation for teaching excellence. He holds a Ph.D. and an M.Phil. in finance at New York University's Leonard N. Stern School of Business. Prior to his doctoral studies, Kelly worked in Morgan Stanley's investment banking division and in the sales and trading division of UBS. He is a faculty research fellow at the NBER and an associate editor of the Journal of Financial Econometrics. Kelly is the recipient of the 2012 AQR Insight Award, and has received various other research awards including the JPMorgan Best Paper Award from the WFA, the Q-group Research Award, the Arnold Zellner Award (honorable mention), the David M. Graifman award for best dissertation in finance at NYU Stern, the Herman E. Kroos award for best dissertation across disciplines at NYU Stern, and the Shmuel Kandel Prize, and various research grants. His research interests include theoretical and empirical asset pricing; models of tail risk, volatility and correlation dynamics; and asymmetric information in asset markets.

    Home Page;
    bryan.kelly[ / at / ]chicagobooth.edu
  • Patrick S. Kouontchou

    Patrick S. Kouontchou is a Reader in Economics and Finance at the University of Lorraine, a senior Partner at Variances since 2004, in charge of quantitative econometric analysis (linear and non-linear approaches) and a Statistician Engineer. He graduated in Economics and Finance, and holds a Ph.D. in Economics (“Four Empirical Essays on the Risk Management and Asset Pricing with High-frequency Data”) from the University of Paris-1 Panthéon-Sorbonne. Patrick has ample experience in teaching courses in Financial Economics, Performance Measures, Portfolio Management, Financial Econometrics, and Risk Measures. He has published several articles in academic journals, such as Journal of Banking and Finance, Revue of International Economics, Revue Economique, Banque et Marchés and Brussels Economic Review. His research work is mainly focused on systemic risk, portfolio management, asset pricing, model risk, risk management and financial econometrics with high-frequency data.

    Home Page;
    patrick.kouontchou[ / at / ]univ-lorraine.fr
  • Sébastien Laurent

    Sébastien Laurent is a Professor at the University of Aix-Marseille (IAE and AMSE-GREQAM). He holds a Ph.D. in Financial Econometrics from Maastricht University. Previously, he worked as Post-doc Researcher at the CREST (Laboratory of Finance-Insurance) and as Associate Professor in Econometrics at the Faculté Notre-Dame de la Paix and at Maastricht University. He is also a member of the OxMetrics development team and the main contributor of G@RCH, an OxMetrics module dedicated to the estimation and forecasting of time-series GARCH models and many of its extensions. He has published papers in leading international journals, such as Journal of Policy Modelling, Applied Financial Economics, European Economic Review, Journal of Applied Econometrics, and book chapters edited by Wiley and Edward Elgar. Sébastien is also a fellow of the CORE in Louvain-la-Neuve (Belgium). His research interests are financial econometrics and computational econometrics.

    Home Page;
    sebastien.laurent[ / at / ]iae-aix.com
  • Shih-Cheng Lee

    Shih-Cheng Lee is a Professor in Finance at the Yuan Ze University of Taiwan. He holds a Ph.D. in Finance from National Central University. He is a Visiting Research Fellow at the University of Adelaide, a consultant of Greater China Professional Risk Managers Service Center, an external expert of Center for Banking and Financial Stability at Deakin University, a member of Basel iii Compliance Professionals Association in U.S., a member of Centre for Applied Finance Studies at University of South Australia. He has participated in many research projects financed by the Ministry of Science and Technology, National Science Council, Australian Centre for Financial Studies. He has published articles in peer-refereed journal such as Journal of Banking and Finance, Journal of Corporate Finance, Journal of Business, Finance, and Accounting, among others. He is also an associate editor of Journal of Accounting, Finance and Management Strategy and referee for several international journals, such as Journal of Banking and Finance, Journal of Risk and Insurance, Quantitative Finance, among others. His main research interests include financial engineering, financial risk measurement, Basel Accord, and accounting based valuation.

    Home Page;
    sclee[ / at / ]saturn.ysu.edu.tw
  • Simone Manganelli

    Simone Manganelli is the Head of the Financial Research Division at the European Central Bank. He holds a Ph.D. in Economics from the University of California, San Diego and a Ph.D. in Economics from the University of Siena. He has published a wide variety of articles in top leading international journals, such as Journal of Business and Economic Statistics, Journal of Financial and Quantitative Analysis, Journal of Money, Credit, and Banking, Journal of Financial Econometrics, among others. Together with Professor Robert Engle, he published the article “CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles” in 2004. More recently, he has worked on important systemic risk related papers, such as “New Methodologies for Systemic Risk Measurement” with Stefano Corradin and Bernd Schwaab, published in the ECB Research Bulletin #12 and “VAR for VaR: Measuring Systemic Risk using Multivariate Regression Quantiles” with Eric Ghysels, Julien Idier and Olivier Vergote. His current research interests are in the fields of econometrics of decision under uncertainty, financial integration and measuring systemic risk.

    Home Page;
    simone.manganelli[ / at / ]ecb.europa.eu
  • Andreea Minca

    Andreea Minca joined the School of Operations Research and Information Engineering of Cornell University in August 2011. She received her Ph.D. in Applied Mathematics form Pierre et Marie Curie University in Paris, France in 2011. In 2008, she earned a M.S. in Probability and Finance and the “Diplôme de l'Ecole Polytechnique”. During her Ph.D. studies she was a member of the Mathematical Finance team at INRIA Rocquencourt, funded by a grant from the Natixis Foundation for Quantitative Research. Her research is focused on the mathematical modeling of default of financial institutions in the context of a banking system. During her thesis, she introduced a mathematical framework for understanding systemic risk via network analysis and tools drawn from random graph theory. Andreea has published articles in leading international journals, such as Mathematical Finance and International Journal of Theoretical and Applied Finance. Her research interests include financial networks, control of epidemics in random graphs, credit risk and liquidity risk.

    Home Page;
    acm299[ / at / ]cornell.edu
  • Alain Monfort

    Alain Monfort is a Professor in Econometrics and in Finance at Maastricht University and a Researcher at the CREST (Center for Research in Economics and Statistics in Paris) and at the Banque de France. Previously, Alain was the Director of Studies at the ENSAE (French National School of Statistics and Economic Administration), the Director of the Research Department of the INSEE (French National Institute for Statistics and Economic Studies) and of the CREST, a co-editor at Econometrica and a Professor at the Ecole Polytechnique and the CNAM (French National Conservatory of Arts and Crafts). He has published numerous articles and papers in top quality academic journals such as Econometrica, Review of Finance, Journal of Econometrics, Econometric Theory, Mathematical Finance, Journal of Banking and Finance, among others. Alain wrote several books in the fields of Econometrics and Statistics edited by Cambridge University Press, John Wiley and Oxford University Press. His research essentially focuses on theoretical econometrics, statistical methods based on simulations, financial econometrics and macro-finance.

    Home Page;
    alain.monfort[ / at / ]ensae.fr
  • Federico Nucera

    Federico Nucera is an Assistant Professor in Finance at the Economics and Finance Department of Luiss Guido Carli University in Rome, Italy and hold a PhD in Finance from Bocconi University in Milan. He is an Instructor in financial and credit derivatives and in financial markets and intermediaries at Luiss Guido Carli University. He has published his works in Journal of International Money and Finance, in Economic Notes or in Rivista Bancaria. His research interest is about International Finance; Systemic Risk; Credit Risk; Banking & Financial Stability; Empirical Asset Pricing & Financial Econometrics. He served as a Visiting Researcher at the European Central Bank and as a Summer Intern at the Swedish Riksbank. He was also a Research Associate at the Financial Markets Division of Prometeia Spa.

    Home Page;
    fnucera[ / at /luiss.it
  • Loriana Pelizzon

    Loriana Pelizzon is a Professor in Law and Finance at SAFE Goethe University of Frankfurt and Associate Professor in Economics at Ca’ Foscari University of Venice. She holds a Ph.D. in Finance from the London Business School. Her work includes papers published in Journal of Financial and Quantitative Analysis, Journal of Financial Intermediation and Journal of Banking and Finance. Loriana has been awarded the "EFA 2005 - Barclays Global Investor Award" for the best symposium paper, "FMA European Conference", "2005 Best Conference Paper" and the award for the most significant paper published in the Journal of Financial Intermediation in 2008. She is one of the Coordinators of the European Finance Association (EFA) Doctoral Tutorial. Loriana is a member of the EFA Executive Committee and of the BSI GAMMA Foundation Board. She has been involved in NBER and FDIC projects as well as EU and Inquire Europe Projects. Her research interests are on risk measurement and management, asset allocation and household portfolios, hedge funds, financial institutions, systemic risk and financial crisis.

    She is, since 2013, the Program Director and Chair of Law and Finance of the Research Lab "Systemic Risk" of the Center of Excellence SAFE located at Goethe University's House of Finance.

    Home Page;
    loriana.pelizzon[ / at / ]unive.it
  • Christophe Pérignon

    Christophe Pérignon is an Associate Professor in Finance at HEC Paris and the holder of the Deloitte – Société Générale Chair in Energy and Finance. He graduated in Economics and in Finance from the University of Geneva, and holds a Ph.D. in Finance from the Swiss Finance Institute. He has also been a Post-Doctoral Fellow at the University of California at Los Angeles (UCLA). His research works have been recently published in academic journals, including Journal of Financial Economics, Journal of Business, Journal of Financial, Quantitative Analysis and Review of Finance. Christophe Pérignon is also the co-founding CEO of www.RunMyCode.org, a non-for-profit scientific website that aims to make academic research easier to use and replicate. He is the winner of the 2014 Prize for the Best Young Researcher in Finance, awarded by the Institut Louis Bachelier and the Institut Europlace de finance. His current areas of research are Systemic Risk, Regulation of Financial Markets, Margin and Clearing for OTC Derivatives and the Collateral Risk of ETF. More recently he wrote the article "Implied Risk Exposure" with Sylvain Benoit and Christophe Hurlin forthcoming in Review of Finance.

    Christophe is the co-holder of the Chair ACPR: "Regulation and Systemic Risk".

    Home Page;
    perignon[ / at / ]hec.fr
  • Henry Penikas

    Henry Penikas is an Associate Professor at the Higher School of Economics in Moscow. He holds a Ph.D. at HSE and a M.Sc. in Theoretical and Empirical Economics from the University of Paris 1 Panthéon-Sorbonne. Henry is a Project Manager within the Risk Management division of Alfa-Bank (Russia) and a Head of Basel II Pillar I and Basel III standing groups within Association of Russian Banks. He has published articles in international journals, such as International Journal of Computational Economics and Econometrics, Financial Econometrics and Empirical Market Microstructure and Procedia Computer Science. His research interests include banking system and banking regulation, banking activity financial modeling and financial risks modeling. Henry is also highly interested in systemic risk estimation. He wrote the article “Copula-Application to Modelling Russian Banking System Capital Adequacy According to Basel II IRB-Approach” with Irina Andrievskaya, published in the journal Model Assisted Statistics and Applications. More recently he wrote the article “Identifying SIFI Determinants for Global Banks and Insurance Companies: Implications for D-SIFIs in Russia” with Maiya Anokhina and Victor Petrov.

    Home Page;
    penikas[ / at / ]hse.ru
  • Zongxin Qian

    Zongxin Qian is an Assistant Professor in Finance at the School of Finance of Renmin University of China (RUC), a Research Fellow at the RUC Institute of Finance and Real Estate (IFRE) and RUC International Monetary Institution (IMI). He is also currently a visiting scholar in the Institute of International Finance at the Bank of China. He holds a Ph.D. in Economics from Tilburg University in The Netherlands and a Ph.D. in World Economics from Renmin University of China. Previously, he was a Junior Research Fellow of European Banking Center (EBC) at Tilburg University. He also worked as an economist in Directorate for Financial and Enterprise Affairs at Organization for Economic Cooperation and Development (OECD). He contributed to several research consulting projects for the National Natural Science Foundation of China, People's Bank of China, China Banking Regulatory Commission, China Development Bank on sovereign debt, monetary policy reform, rural banking and RMB internationalization. He has published in various journals such as the Journal of Financial Stability, Journal of Macroeconomics, Emerging Markets Finance and Trade, among others. His research interests focus on the interactions between macroeconomic policies and financial markets, international finance, sovereign risk and systemic risk, performance measurement and asset pricing.

    Home Page;
    qianzx[ / at / ]ruc.edu.cn
  • Eric Renault

    Eric Renault is the C.V. Starr Professor of Economics at Brown University. He was the Henry A. Latane Distinguished Professor of Economics at the University of North Carolina-Chapel Hill. Eric is a Fellow of the Econometric Society and of Journal of Econometrics. He has extensive editorial responsibilities, including Associate Editor of Econometrica, Co-Editor of Econometric Theory and Associate Editor of Journal of Econometrics. He has been founding Co-Editor of the Journal of Financial Econometrics, his field’s leading publication. He is currently President of the Society for Financial Econometrics (SoFiE). He has also delivered a high number of prestigious named lectures and has organized and co-organized some of the most important conferences in the economics annual calendar. Eric received his masters in economics and statistics from ENSAE (French National School of Statistics and Economic Administration) and a Ph.D. in applied mathematics for social sciences from Paris-Dauphine University. His work includes more than 60 refereed publications in the leading journals of Economics, Finance and Statistics, including the Journal of Econometrics, Econometric Theory, Econometrica, Mathematical Finance, Review of Financial Studies and Management Science among others. He has been consistently producing research on stochastic volatility and option pricing, with recent emphasis on contagion of financial crises.

    Home Page;
    Eric_Renault[ / at / ]brown.edu
  • Peter Sarlin

    Peter Sarlin is an Associate Professor of Economics at Hanken School of Economics (Helsinki, Finland). Currently, he is visiting the Center of Excellence SAFE at Goethe University Frankfurt. Peter received his Ph.D. degree in Information Systems with distinction at Åbo Akademi University (Turku, Finland) in June 2013. He has also studied at London School of Economics, Stockholm School of Economics and Stockholm University. Peter is a regular visitor at the European Central Bank and Bank of Finland. He has published his research in journals from various fields, including Journal of Banking & Finance, Economics Letters, Ecological Informatics, Neurocomputing, Information Visualization, Pattern Recognition Letters and Knowledge and Information Systems. His book Mapping Financial Stability was published by Springer in May 2014. His current research interests include systemic risk, macroprudential supervision, machine learning, data and dimension reduction and visual analytics.

    Peter is also Head of RiskLab Finland, which provides the VisRisk platform for visual systemic risk analytics.

    Home Page;
    peter[ / at / ]risklab.fi
  • Roberto Savona

    Roberto Savona is an Associate Professor of Finance specialized in Financial Markets and Institutions at the Department of Economics and Management at the University of Brescia, Italy. He served as a member of the Board of Directors of the European Financial Management Association (EFMA) in 2010-2013, and as a Member of the Steering Committee of the Macro‐prudential Research Network (MaRs) – European Central Bank 2012-2014. He received his Ph.D. in Financial Intermediation from the University of Udine. He has published many of its works in various journals such asApplied Financial Economics, Economic Notes, the European Journal of Finance, the European Journal of Operational Research, Intelligent Systems in Accounting Finance and Management, the Oxford Bulletin of Economics and Statistics, PLoS ONE and in books edited by Chapman Hall-CRC/Taylor Francis Group, Elsevier, the Oxford University Press, Palgrave MacMillan and Risk Books. His research interest is about asset pricing models, risk management, hedge funds and mutual funds, performance measurement, credit risk, systemic risk and early warning systems.

    Roberto is also Primary Coordinator of the European Project “SYRTO ‐ SYstemic Risk TOmography: Signals, Measurements, Transmission Channels, and Policy Interventions” funded under FP7-SSH/2007-2013 program ( SYRTO), which provides the SYRTO platform for visual systemic risk analytics.

    Home Page;
    roberto.savona[ / at / ]unibs.it
  • Olivier Scaillet

    Olivier Scaillet is a Professor in Finance and in Statistics at the University of Geneva and has a Senior Chair at the Swiss Finance Institute. He holds both a M.Sc. and a Ph.D. in Applied Mathematics from Paris Dauphine University. He has published several papers in leading journals in econometrics and finance, and co-authored a book on financial econometrics. He has been one of the winners of the "Bi-annual Award for the Best Paper" published in the Journal of Empirical Finance on the topic of quantitative risk management and of the "Banque Privée Espirito Santo Award Prize" on the topic of mutual fund performance. He is also Associate Editor of the Journal of Business and Economic Statistics of the American Statistical Association and Associate Editor of the journal Econometric Theory. He is a long-term advisor for the research teams of BNP Paribas located in Paris and London. Olivier's research expertise is in the area of derivatives pricing, econometric theory and econometrics applied to finance and insurance.

    Home Page;
    olivier.scaillet[ / at / ]unige.ch
  • Bernd Schwaab

    Bernd Schwaab is a Research Economist at the European Central Bank's Financial Research Division. He holds a M.Phil. (2007) and a Ph.D. (2010) in Economics from Tinbergen Institute and VU University Amsterdam. Bernd has worked on portfolio credit risk modeling when some risk factors are unobserved, impact evaluation of non-standard monetary policy measures, and financial stability/systemic risk surveillance and measurement. Bernd's research focus is on financial econometrics, asset pricing, and risk management. His joint research has been published in journals such as Journal of Econometrics, Journal of Business and Economic Statistics, International Journal of Forecasting, and recently in the Review of Economics and Statistics. He is interested in recent econometric frameworks such as nonlinear non-Gaussian factor models, dynamic models for mixed measurement panel data, and time-varying parameter models for multivariate observations with heavy tails.

    Home Page;
    bernd.schwaab[ / at / ]ecb.int
  • Ricardo M. Sousa

    Ricardo M. Sousa is a Researcher at the London School of Economics and Political Science (LSE), an Assistant Professor at the University of Minho and a Researcher at the Economic Policies Research Unit (NIPE). He holds a Ph.D. in Economics and a Master Research in Economics from the LSE, and a Master in Economic Policy from the University of Minho. He has published more than 50 papers in international peer-reviewed journals, such as Applied Economics, Economic Modelling, International Review of Financial Analysis, Journal of Empirical Finance, Journal of International Money and Finance, Journal of Macroeconomics, Macroeconomic Dynamics, Quantitative Finance, Review of International Economics, among others. His research interests are concentrated in the fields of financial econometrics, monetary policy, wealth management, fiscal policy and risk management.

    Home Page;
    rjsousa[ / at / ]alumni.lse.ac.uk
  • Roger Stein

    Roger M. Stein is a Senior Lecturer of Finance at the MIT Sloan School of Management and the Chief Analytics Officer at State Street Global Exchange. Roger holds a Ph.D. from the Stern School of Business, New York University. He has written two full-length textbooks and has had his research published in a variety of academic, scientific, and professional journals. Roger serves on the editorial boards of several finance journals and also holds the position of Research Affiliate at the MIT Laboratory for Financial Engineering. He is a member of the Advisory Council of the Museum of Mathematics; a member of the Business Practices Council of the Association to Advance Collegiate Schools of Business; and on the board of PlaNet Finance USA. His current research interests are in the areas of systemic risk, model risk and validation, biomedical funding, and the interface between data mining and financial theory.

    He is also the founder and president of the Consortium for Systemic Risk Analytics.

    Home Page;
    rms[ / at / ]rogermstein.com
  • Sessi Tokpavi

    Sessi Tokpavi is a Professor in Economics at the University of Orléans (LEO/CNRS). He has 10 years of experience in teaching courses in finance and econometrics in Undergraduate and Master degree level, namely Non-linear Time Series, Time Series Analysis and Advanced Quantitative Methods for Portfolio Selection. He is also a Research Fund Manager at Famsa Investment (Luxembourg). Sessi holds a Ph.D. in Economics and a Master Degree in Applied Econometrics from the University of Orléans. He has published articles in leading international journals such as Journal of Financial Econometrics, Journal of Empirical Finance, Economic Modelling, Finance, Journal of Risk, Bankers, Markets and Investors, among others. His research interests include financial econometrics, extreme risk and systemic risk modeling, and portfolio optimization in presence of parameter uncertainty. More recently, he has worked on systemic risk related papers, such as "Testing for the Systemically Important Financial Institutions: A Conditional Approach".

    Home Page;
    sessi.tokpavi[ / at / ]u-paris10.fr

    Research Assistants

  • Peter Martey Addo

    Peter Martey Addo is a Postdoctoral Researcher at the CNRS (French National Center for Scientific Research) and affiliated to the Centre d'Economie de la Sorbonne (CES) in Paris. He holds a Ph.D. from both the University of Paris 1 - Pantheon Sorbonne (Ph.D. in Mathematics) and Ca' Foscari University of Venice (Ph.D. in Economics). Prior to his Ph.D., he earned a Master in Applied Mathematics in Economics and Finance from the University of Paris 1 Panthéon Sorbonne and a Master in Quantitative Economics (Laurea Magistrale in Economia) from the Ca' Foscari University of Venice. Peter has published articles in international journals, such as Computational Statistics & Data Analysis, The North-American Journal of Economics and Finance, Journal of Business Cycle Measurement and Analysis, among others. He has also served as referee for international scientific journals. His current research interests are in the areas of systemic risk and financial crisis, financial econometrics, networks, computational econometrics and macro-finance.

    Home Page;
    peter.addo[ / at / ]univ-paris1.fr
  • Georgiana-Denisa Banulescu

    Georgiana-Denisa Banulescu is a Max Weber Postdoctoral Fellow at the European University Institute and a Research Assistant for the RunMyCode project, which is a cloud-based platform for scientific code and data sharing. She holds a Ph.D. in Economics from Maastricht University and the University of Orléans. She holds a Master in Econometrics and Quantitative Economics from the University of Orléans. She recently published in the Journal of Banking and Finance the article “How to Identify the SIFIs? A Component Expected Shortfall (CES) Approach to Systemic Risk” with Elena-Ivona Dumitrescu. This article introduces a new systemic risk measure: the Component Expected Shortfall (CES). Her main research interests are in the field of financial econometrics: volatility modeling, high frequency risk measures, backtesting and systemic risk.

    Home Page;
    georgiana.banulescu[ / at / ]univ-orleans.fr
  • Sylvain Benoit

    Sylvain Benoit is a Post-Doc at the University of Orléans. He holds a Ph.D. in Econometrics from the University of Orléans. He holds a Master in Econometrics from the same University. Sylvain is a member of the development team of the RunMyCode website, which is a cloud-based platform for scientific code and data sharing.

    sylvain.benoit[ / at / ]univ-orleans.fr
  • Sami Bourdier

    Sami Bourdier was an intern within the Financial Analysis team A.A.Advisors-QCG (ABN AMRO). He was in charge of assisting the development and application of quantitative tools for risk analysis and strategic asset allocation. Sami was a gap year student in SKEMA Business School where he will graduate with a M.Sc. in Financial Markets and Investments. He holds a B.Sc. in Economics and Finance from the University of Orléans.

    sami.bourdier[ / at / ]fr.abnamro.com
  • Michele Costola

    Michele Costola is a Post-Doc at the Ca’ Foscari University of Venice. He obtained his Ph.D. at the University of Padova in September 2013. Michele graduated with a M.Sc. in Economics and Finance with honors (2009) and with a M.Sc. in Economics and Finance – IMEF (2009) at the Ca’ Foscari University of Venice. Currently, he teaches Options and Derivatives in the Faculty of Statistics at the University of Padova and Introductory Financial Analysis using MATLAB in the International Master of Economics and Finance at the Ca’ Foscari University of Venice. He spent a visiting period as Ph.D. student at Creates – Aarhus University. Besides systemic risk, his research interests are focused on empirical finance. In particular, financial econometrics, time series analysis, GARCH models, portfolio allocation and management, market risk and rational-behavioral investor’s allocation.

    Home Page;
    michele.costola[ / at / ]unive.it
  • Grégory M. Jannin

    Grégory M. Jannin is the Operations Manager within JMC Asset Management LLC since December 2014. Gregory graduated with a M.Sc. in Finance (2007), a M.Sc. in Financial Engineering (2007) and a M.Phil. in Quantitative Finance (2009) from the University Paris 1 Panthéon-Sorbonne, and he holds a Ph.D. in Finance (2013) from the same university. Gregory was awarded in 2009 the “Presidential Scholarship” – a 3-year doctoral financial support – and in 2010 a 6-month Ph.D. Grant, both from the University Paris 1, to pursue his research at Brown University within the Applied Mathematics department. Gregory was among the first joiners of the Systemic Risk Hub and actively collaborated to the first version of this collective project. Previously, he was in charge of developments and follow-ups of quantitative tools for asset allocations, risk analyses and quantitative asset management within a Quant group of ABN AMRO based in Paris. His research interests are performance measurement, portfolio management, asset allocation and Prospect Theory.

    Home Page;
    gjannin[ / at / ]jmcam.com
    With Significant Technical Support from:

    The Risk Foundation (Louis Bachelier Institute) is a non-profit foundation based in Paris that aims to promote, share and disseminate research in Finance and Economics, by providing various logistical supports. It encourages multidisciplinary, international and cross-disciplinary approaches to research in financial economics, as well as collaboration between academic institutions, the development of exchanges between the financial industry and the academic world, and, ultimately, the dissemination of research throughout society. It will support our Systemic Risk Hub initiative in the various operational aspects of our project.

    With the Kind Support of:

    Several researchers among our steering committee, experts, research contributors and research assistants, are academics or affiliated to the acknowledged institutions above.